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At the highest frequencies (GHz and above), every bit of wire acts like an aerial, so you can no longer rely on sending a signal down a wire and expecting it to get to the other end. So why not let it do its thing? Feed it into an aerial at the end of a copper pipe and it'll bounce all the way down the inside and come out at the far end. This is what a waveguide is. A microwave oven contains a waveguide to feed the energy from the magnetron into the cooking compartment.